Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0035 |
| Annualized Std Dev | 0.1617 |
| Annualized Sharpe (Rf=0%) | 0.0215 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2952.0000 |
| NAs | 1.0000 |
| Minimum | -0.0838 |
| Quartile 1 | -0.0047 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0051 |
| Maximum | 0.0906 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0102 |
| Skewness | -0.3120 |
| Kurtosis | 7.2911 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0077 |
| Downside Deviation (MAR=210%) | 0.0125 |
| Downside Deviation (Rf=0%) | 0.0074 |
| Downside Deviation (0%) | 0.0074 |
| Maximum Drawdown | 0.3399 |
| Historical VaR (95%) | -0.0155 |
| Historical ES (95%) | -0.0242 |
| Modified VaR (95%) | -0.0161 |
| Modified ES (95%) | -0.0294 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-10-10 | 2020-03-23 | NA | -0.3399 | 2124 | 1873 | NA |
| 2010-09-07 | 2010-12-14 | 2011-08-19 | -0.1244 | 242 | 70 | 172 |
| 2011-08-22 | 2011-10-20 | 2011-12-23 | -0.1046 | 88 | 43 | 45 |
| 2012-01-24 | 2012-03-22 | 2012-07-20 | -0.0901 | 125 | 42 | 83 |
| 2009-08-04 | 2009-10-28 | 2010-01-26 | -0.0759 | 121 | 61 | 60 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | 0.1 | 0 | -0.3 | 1.1 | 0.3 | 0.1 | -0.2 | 1.2 |
| 2010 | 0.8 | 1.3 | -0.1 | 0.7 | -0.5 | 2 | 0.2 | 0.9 | 0 | 0.4 | -0.2 | 0 | 5.6 |
| 2011 | -1 | 0.6 | 0.1 | 0.3 | 0.6 | 0 | -0.1 | -0.1 | -2.6 | 0.9 | 0 | 0.6 | -0.8 |
| 2012 | -1.2 | -1.4 | -0.5 | -1 | 0.1 | 0.4 | 0.6 | 0.4 | 0 | 0.4 | 0.1 | -0.8 | -3 |
| 2013 | 0.3 | 0.3 | 0 | 0.1 | -2.7 | 0.1 | -3.2 | 0.4 | 0.6 | -0.2 | 0.3 | 0.2 | -3.8 |
| 2014 | 0.5 | 0.3 | -0.1 | 0.5 | 0.2 | -0.8 | -0.7 | -0.2 | 0.7 | 0.6 | -0.7 | -0.8 | -0.5 |
| 2015 | 0 | 0.1 | 0.6 | 0.3 | -0.4 | 0.2 | 0.6 | 1.2 | 0.6 | -1.2 | 2.5 | 0.2 | 4.8 |
| 2016 | 0.7 | -0.9 | -1.2 | 0.2 | -0.1 | -0.4 | 0.2 | -2.4 | -0.7 | 0.1 | -0.4 | 0.7 | -4.2 |
| 2017 | -0.1 | -0.4 | 0.2 | -0.4 | 0.2 | 1 | 2.2 | -0.3 | -0.3 | 1.9 | 0.9 | 2.6 | 7.8 |
| 2018 | -0.9 | 0.8 | -0.2 | 0.3 | -1.1 | 0.3 | -0.2 | 0 | 0.9 | 1 | -0.2 | 2 | 2.7 |
| 2019 | 0.3 | -0.6 | 0.5 | 0.8 | 0.3 | 0.9 | -0.3 | -1 | -0.1 | 0.9 | 0.6 | 0.7 | 3.1 |
| 2020 | 0.3 | -2 | -5.1 | -1.5 | 0.9 | 1.5 | 0.5 | -0.6 | -0.5 | -0.7 | 0 | -0.6 | -7.7 |
| 2021 | 0.7 | 1.2 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-06-26 20 SPY 91.8 -0.0026 -0.0022 0.0101 0.125 -0.284 -0.265 -0.193 GLD 92.3 -0.0002 0.0042
2 2009-06-29 20 SPY 92.7 0.0094 0.0383 0.0018 0.176 -0.273 -0.252 -0.183 GLD 92.0 -0.0027 0.0166
3 2009-06-30 20.0 SPY 92.0 -0.0081 0.0291 -0.0298 0.156 -0.282 -0.263 -0.193 GLD 91.2 -0.00930 0.00290
4 2009-07-01 20.0 SPY 92.3 0.0041 0.0245 -0.0266 0.139 -0.281 -0.274 -0.194 GLD 92.4 0.0133 0.0103
5 2009-07-02 20.0 SPY 89.8 -0.0273 -0.0247 -0.041 0.0765 -0.288 -0.294 -0.205 GLD 91.2 -0.0123 -0.0115
6 2009-07-06 20.0 SPY 89.8 -0.0001 -0.0222 -0.05 0.0657 -0.289 -0.297 -0.204 GLD 90.8 -0.0054 -0.0166
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
